Report
Performance Table
| Start date | 2010-01-04 |
End date | 2017-12-29 |
Total months | 95 |
|
Strategy |
SPY |
AAPL |
AMZN |
| Annual return |
25.0% |
13.6% |
30.0% |
31.2% |
| Cumulative returns |
494.6% |
177.0% |
714.4% |
773.4% |
| Annual volatility |
23.8% |
14.6% |
25.5% |
31.2% |
| Sharpe ratio |
1.06 |
0.95 |
1.16 |
1.03 |
| Calmar ratio |
0.88 |
0.73 |
0.75 |
1.02 |
| Stability |
0.97 |
0.96 |
0.93 |
0.96 |
| Max drawdown |
-28.5% |
-18.6% |
-40.1% |
-30.5% |
| Omega ratio |
1.20 |
1.19 |
1.23 |
1.21 |
| Sortino ratio |
1.56 |
1.34 |
1.73 |
1.57 |
| Skew |
-0.01 |
-0.39 |
-0.05 |
0.53 |
| Kurtosis |
3.82 |
4.54 |
4.48 |
8.97 |
| Tail ratio |
1.01 |
0.98 |
1.07 |
1.05 |
| Daily value at risk |
-2.9% |
-1.8% |
-3.1% |
-3.8% |
| Gross leverage |
1.00 |
NaN |
NaN |
NaN |
| Daily turnover |
18.3% |
NaN |
NaN |
NaN |
| Alpha |
0.11 |
0.00 |
0.16 |
0.17 |
| Beta |
1.04 |
1.00 |
0.96 |
1.11 |
Returns Analysis
Drawdown Analysis
|
Net drawdown in % |
Peak date |
Valley date |
Recovery date |
Duration |
| 0 |
28.46 |
2012-09-19 |
2013-04-19 |
2013-10-25 |
288 |
| 1 |
21.11 |
2010-04-22 |
2010-07-02 |
2010-09-24 |
112 |
| 2 |
20.88 |
2015-12-08 |
2016-02-09 |
2016-05-31 |
126 |
| 3 |
20.88 |
2011-09-19 |
2011-12-14 |
2012-03-16 |
130 |
| 4 |
15.12 |
2011-07-28 |
2011-08-22 |
2011-09-15 |
36 |
Position Analysis
Interesting Periods Analysis